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Parameter identification in ARMA-processes in the presence of regular but incomplete sampling

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  • Palm, F.C.
  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

Abstract

. We discuss the parameter identification of multivariate AR (1) models and of univariate ARMA (2,1) and AR (2) models if the variables in the model are observed every mth period where m is some integer greater than unity. The results indicate that the models will often not be globally identified even if they are locally identified and that the likelihood function can have a large number of local maxima.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Palm, F.C. & Nijman, T.E., 1990. "Parameter identification in ARMA-processes in the presence of regular but incomplete sampling," Other publications TiSEM 69e84dde-44ef-4592-93a8-8, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:69e84dde-44ef-4592-93a8-8148c32f5f98
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    Cited by:

    1. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    4. van der Ploeg, F. & de Zeeuw, A.J., 1992. "A differential game of international pollution control," Other publications TiSEM 63432fbc-f558-422b-93d9-4, Tilburg University, School of Economics and Management.
    5. Röell, A.A., 1991. "Dual capacity trading and the quality of the market," Other publications TiSEM 962c4eef-72ca-4ada-bb51-e, Tilburg University, School of Economics and Management.
    6. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    7. Bekaert, Geert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
    8. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.

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